{"cells": [{"metadata": {}, "cell_type": "markdown", "source": "\n\u5e01\u5b89\u671f\u8d27\u6700\u8fd1\u53d1\u8d77\u4e86\u7b2c\u4e8c\u6b21\u201c\u5343\u56e2\u5927\u6218\u201d\u6d3b\u52a8\uff08\u6d3b\u52a8\u5730\u5740\uff1ahttps://www.binancezh.com/cn/futures/activity/anniversary-competition/129-38599440 \uff09\u3002FMZ\u91cf\u5316\u5e73\u53f0\u5b98\u65b9\u4e5f\u7ec4\u7ec7\u4e86\u56e2\u961f\uff0c\u76f4\u63a5\u641c\u7d22\u201c\u53d1\u660e\u8005\u91cf\u5316\u201d\u5c31\u53ef\u4ee5\u627e\u5230\uff0c\u76ee\u524d\u521a\u521a\u6709100\u591a\u4eba\uff0c\u6b22\u8fce\u53c2\u4e0e\uff0c\u53c2\u52a0\u540e\u53ef\u52a0\u6218\u961f\u961f\u957f\u5fae\u4fe1 fmz_zhangchao\uff0c\u56de\u590d\u201c\u5e01\u5b89\u201d\u62c9\u5fae\u4fe1\u7fa4\u3002\n\n\u672c\u6b21\u4e3a\u53c2\u8d5b\u51c6\u5907\u7684\u7b56\u7565\u4e3a\u4ea4\u5272\u5408\u7ea6\u7684\u8776\u5f0f\u5bf9\u51b2\uff0c\u672c\u7bc7\u5373\u4e3a\u6b64\u7b56\u7565\u7684\u7814\u7a76\u62a5\u544a\u3002**\u6ce8\u610f\u7b56\u7565\u53ea\u4f9b\u53c2\u8003\uff0c\u53ef\u4ee5\u5728\u6b64\u57fa\u7840\u4e0a\u63d0\u51fa\u81ea\u5df1\u7684\u601d\u8def\u8fdb\u884c\u4f18\u5316\uff0c\u4e5f\u6b22\u8fce\u5206\u4eab\u3002** \u62a5\u544a\u53ef\u76f4\u63a5\u5728FMZ\u7f51\u7ad9\u7684\u7814\u7a76\u73af\u5883\u76f4\u63a5\u4f7f\u7528\uff08\u70b9\u51fb\u53f3\u4e0a\u89d2\u4e0b\u8f7d\uff0c\u5728\u7814\u7a76\u73af\u5883\u4e2d\u4e0a\u4f20\uff09\u3002\n![](\"https://www.fmz.com/upload/asset/1b39347a88aa4cff916.jpg\")
\n\n### 1.\u7b56\u7565\u7f18\u7531\n\n\u5bf9\u51b2\u9700\u8981\u627e\u5230\u4e00\u4e2a\u7a33\u5b9a\u7684\u5dee\u4ef7\uff0c\u5f53\u5dee\u4ef7\u8fc7\u9ad8\u65f6\u505a\u7a7a\u5dee\u4ef7\uff0c\u8fc7\u4f4e\u65f6\u505a\u591a\u5dee\u4ef7\uff0c\u5f53\u5dee\u4ef7\u56de\u5f52\u5e73\u4ed3\u5c31\u8d5a\u5230\u4e86\u5176\u4e2d\u7684\u5dee\u4ef7\u3002\u5982\u671f\u73b0\u5bf9\u51b2\uff0c\u5f53\u672a\u4ea4\u5272\u671f\u8d27\u4ef7\u683c\u8fdc\u9ad8\u4e8e\u73b0\u8d27\u65f6\uff0c\u53ef\u4ee5\u505a\u7a7a\u671f\u8d27\u5408\u7ea6\uff0c\u505a\u591a\u73b0\u8d27\u6765\u505a\u7a7a\u5dee\u4ef7\u3002\u8fd8\u6709\u4e0d\u540c\u4ea4\u5272\u65f6\u95f4\u5408\u7ea6\u7684\u8de8\u671f\u5bf9\u51b2\uff0c\u548c\u671f\u73b0\u5bf9\u51b2\u76f8\u6bd4\uff0c\u8fd8\u80fd\u505a\u591a\u5dee\u4ef7\u3002\u671f\u73b0\uff0c\u8de8\u671f\u90fd\u662f\u592a\u5e38\u89c1\u7684\u7b56\u7565\uff0c\u7ade\u4e89\u4e5f\u5f88\u6fc0\u70c8\uff0c\u5e73\u65f6\u6ca1\u6709\u884c\u60c5\u65f6\uff0c\u5dee\u4ef7\u76f8\u5bf9\u7a33\u5b9a\uff0c\u867d\u7136\u53ef\u4ee5\u505a\u957f\u671f\u7684\u5927\u884c\u60c5\uff0c\u4f46\u673a\u4f1a\u5c11\uff0c\u624b\u52a8\u64cd\u4f5c\u4e5f\u53ef\u4ee5\u3002\u65e2\u7136\u90fd\u662f\u627e\u7a33\u5b9a\u7684\u5dee\u4ef7\uff0c\u5f53\u4e00\u4e2a\u6807\u7684\u7269\u5b58\u5728\u4e09\u4e2a\u4ea4\u6613\u5408\u7ea6\u65f6\uff0c\u8fd8\u6709\u4e00\u4e2a\u5dee\u4ef7\uff0c\u5373\u5dee\u4ef7\u7684\u5dee\u4ef7\uff0c\u8fd9\u5c31\u662f\u8776\u5f0f\u5bf9\u51b2\uff0c\u4e5f\u88ab\u79f0\u4e3a\u5957\u5229\u7684\u5957\u5229\u3002\n\n### 2.\u7b56\u7565\u539f\u7406\n\n\u5e01\u5b89\u5e01\u672c\u4f4d\u5408\u7ea6\u5982BTC\u3001ETH\u7b49\u540c\u65f6\u5b58\u5728\u4e09\u4e2a\u5408\u7ea6\uff0c\u5373\u6c38\u7eedBTCUSD_PERP\u3001\u5f53\u5b63BTCUSD_200925\u3001\u6b21\u5b63BTCUSD_201225\u3002\u6c38\u7eed\u5408\u7ea6\u53ef\u4ee5\u5f53\u4f5c\u73b0\u8d27\uff0c\u4e00\u822c\u4e24\u4e2a\u5408\u7ea6\u505a\u5bf9\u51b2\u5171\u6709\u4e09\u4e2a\u5dee\u4ef7\uff1a\u5f53\u5b63-\u6c38\u7eed\u3001\u6b21\u5b63-\u6c38\u7eed\u3001\u6b21\u5b63-\u5f53\u5b63\u3002\u8776\u5f0f\u5957\u5229\u9700\u8981\u64cd\u4f5c\u4e09\u4e2a\u5408\u7ea6\uff0c\u5dee\u4ef7\u4e3a\uff08\u6b21\u5b63-\u5f53\u5b63\uff09-\uff08\u5f53\u5b63-\u6c38\u7eed\uff09\uff0c\u5373\u5dee\u4ef7=\u6b21\u5b63+\u6c38\u7eed-2\\*\u5f53\u5b63\u3002\u505a\u591a\u5dee\u4ef7\u9700\u8981\u5f00\u505a\u591a\u4e00\u4efd\u7684\u6b21\u5b63\u548c\u6c38\u7eed\u5408\u7ea6\uff0c\u505a\u7a7a2\u4efd\u7684\u5f53\u5b63\u5408\u7ea6\u3002"}, {"metadata": {}, "cell_type": "markdown", "source": "### 3.\u5bf9\u51b2\u7a7a\u95f4\n\n\u6570\u636e\u6211\u5df2\u7ecf\u722c\u53d6\u4e868\u670814\u81f39\u670814\u65e5\u5e01\u5b89\u76845minK\u7ebf\uff0c\u53ef\u4ee5\u76f4\u63a5\u8bfb\u53d6\uff08\u7531\u4e8e\u65f6\u5dee\uff0c\u663e\u793a\u7684\u65f6\u95f4\u5dee8h\uff09\u3002"}, {"metadata": {"trusted": true}, "cell_type": "code", "source": "# \u9700\u8981\u5bfc\u5165\u7684\u5e93\nimport pandas as pd\nimport requests\nimport matplotlib.pyplot as plt\nimport seaborn as sns\nimport numpy as np\nimport time\n%matplotlib inline", "execution_count": 4, "outputs": []}, {"metadata": {"trusted": true}, "cell_type": "code", "source": "#\u8bfb\u53d6\u6570\u636e\uff0c\u5927\u5bb6\u4e5f\u53ef\u4ee5\u628a\u6570\u636e\u4e0a\u4f20\u5230FMZ\u8bba\u575b\uff0c\u5728\u7814\u7a76\u73af\u5883\u4e2d\u53ef\u4ee5\u76f4\u63a5\u5f15\u7528\ndf = pd.read_csv('https://www.fmz.com/upload/asset/1420b2081ecd122522d.csv',index_col = 0)\ndf.index = pd.to_datetime(df.index)\ndf.tail(3)", "execution_count": 12, "outputs": [{"output_type": "execute_result", "execution_count": 12, "data": {"text/plain": " BTCUSD_200925 BTCUSD_201225 BTCUSD_PERP ETHUSD_200925 \\\n2020-09-14 02:20:00 10369.9 10509.8 10367.1 366.37 \n2020-09-14 02:25:00 10366.4 10503.0 10360.4 366.80 \n2020-09-14 02:30:00 10362.8 10498.6 10356.8 366.13 \n\n ETHUSD_201225 ETHUSD_PERP ADAUSD_200925 ADAUSD_201225 \\\n2020-09-14 02:20:00 367.78 366.31 0.09493 0.09529 \n2020-09-14 02:25:00 367.89 366.33 0.09471 0.09529 \n2020-09-14 02:30:00 367.44 365.91 0.09462 0.09520 \n\n LINKUSD_200925 LINKUSD_PERP BNBUSD_PERP TRXUSD_PERP \\\n2020-09-14 02:20:00 12.040 12.017 29.759 0.03024 \n2020-09-14 02:25:00 12.075 12.048 29.507 0.03025 \n2020-09-14 02:30:00 12.056 12.024 29.493 0.03024 \n\n DOTUSD_PERP ADAUSD_PERP LINKUSD_201225 EOSUSD_PERP \\\n2020-09-14 02:20:00 5.308 0.09471 12.117 2.719 \n2020-09-14 02:25:00 5.273 0.09453 12.141 2.719 \n2020-09-14 02:30:00 5.280 0.09435 12.118 2.719 \n\n LTCUSD_PERP BCHUSD_PERP XRPUSD_PERP ETCUSD_PERP \n2020-09-14 02:20:00 48.19 223.21 0.2433 5.054 \n2020-09-14 02:25:00 48.11 223.25 0.2440 5.049 \n2020-09-14 02:30:00 48.09 223.10 0.2435 5.055 ", "text/html": "\n\n
\n \n \n | \n BTCUSD_200925 | \n BTCUSD_201225 | \n BTCUSD_PERP | \n ETHUSD_200925 | \n ETHUSD_201225 | \n ETHUSD_PERP | \n ADAUSD_200925 | \n ADAUSD_201225 | \n LINKUSD_200925 | \n LINKUSD_PERP | \n BNBUSD_PERP | \n TRXUSD_PERP | \n DOTUSD_PERP | \n ADAUSD_PERP | \n LINKUSD_201225 | \n EOSUSD_PERP | \n LTCUSD_PERP | \n BCHUSD_PERP | \n XRPUSD_PERP | \n ETCUSD_PERP | \n
\n \n \n \n | 2020-09-14 02:20:00 | \n 10369.9 | \n 10509.8 | \n 10367.1 | \n 366.37 | \n 367.78 | \n 366.31 | \n 0.09493 | \n 0.09529 | \n 12.040 | \n 12.017 | \n 29.759 | \n 0.03024 | \n 5.308 | \n 0.09471 | \n 12.117 | \n 2.719 | \n 48.19 | \n 223.21 | \n 0.2433 | \n 5.054 | \n
\n \n | 2020-09-14 02:25:00 | \n 10366.4 | \n 10503.0 | \n 10360.4 | \n 366.80 | \n 367.89 | \n 366.33 | \n 0.09471 | \n 0.09529 | \n 12.075 | \n 12.048 | \n 29.507 | \n 0.03025 | \n 5.273 | \n 0.09453 | \n 12.141 | \n 2.719 | \n 48.11 | \n 223.25 | \n 0.2440 | \n 5.049 | \n
\n \n | 2020-09-14 02:30:00 | \n 10362.8 | \n 10498.6 | \n 10356.8 | \n 366.13 | \n 367.44 | \n 365.91 | \n 0.09462 | \n 0.09520 | \n 12.056 | \n 12.024 | \n 29.493 | \n 0.03024 | \n 5.280 | \n 0.09435 | \n 12.118 | \n 2.719 | \n 48.09 | \n 223.10 | \n 0.2435 | \n 5.055 | \n
\n \n
\n
![](\"https://www.fmz.com/upload/asset/1d169ff6cb8e9c8165e.png\")
\n\u5982\u679c\u662f\u4e073\u7684\u624b\u7eed\u8d39\uff0cBTC\u56de\u6d4b\u7ed3\u679c\u5982\u4e0b\u56fe\uff1a\n![](\"https://www.fmz.com/upload/asset/20c6b6d8de91f682f97.png\")
\nETH\u7684\u56de\u6d4b\u7ed3\u679c\uff1a\n![](\"https://www.fmz.com/upload/asset/208a70b018da8e37e57.png\")
\n\n\u65b0\u6ce8\u518c\u7528\u6237vip0\u57fa\u7840\u7684\u5403\u5355\u8d39\u7387\u4e3a0.0004\uff0c\u88ab\u9080\u8bf7\u9996\u6708\u51cf10%\uff0c\u8fd4\u4f6330%\uff0c\u6d88\u8017BNB\u51cf10%\uff0c\u8fd9\u6837\u6700\u7ec8\u624b\u7eed\u8d39\u4e3a0.0002268,\u6700\u8fd1\u5e01\u5b89\u4ea4\u5272\u5408\u7ea6\u4ea4\u6613\u989d\u5927\u7684\u4e5f\u6709\u76f4\u63a5\u5956\u52b1\u3002\u53e6\u5916\u7b56\u7565\u53ef\u4ee5\u90e8\u5206\u6302\u5355\uff0c\u90e8\u5206\u5403\u5355\uff0c\u6700\u7ec8\u7684\u7efc\u5408\u8d39\u7387\u53ef\u4ee5\u964d\u5230\u4e072\u3002\u53e6\u5916FMZ\u5b98\u65b9\u4e5f\u5728\u548c\u5e01\u5b89\u8ba8\u8bba\u624b\u7eed\u8d39\u4f18\u60e0\u7684\u95ee\u9898\uff0c\u5927\u5bb6\u53ef\u4ee5\u671f\u5f85\u4e00\u4e0b\u3002\n"}, {"metadata": {}, "cell_type": "markdown", "source": "### \u603b\u7ed3\n\n\u5957\u5229\u7684\u76ee\u7684\u662f\u5bfb\u627e\u7a33\u5b9a\u7684\u5dee\u4ef7\uff0c\u5dee\u4ef7\u7684\u5dee\u4ef7\u66f4\u7a33\u5b9a\uff0c\u56e0\u6b64\u8776\u5f0f\u5957\u5229\u7684\u98ce\u9669\u8981\u6bd4\u8de8\u671f\u3001\u671f\u73b0\u5c11\u5f88\u591a\uff0c\u4e5f\u53ef\u4ee5\u624b\u52a8\u64cd\u4f5c\u3002\u672c\u7b56\u7565\u53ea\u662f\u8d77\u5230\u629b\u7816\u5f15\u7389\u7684\u4f5c\u7528\uff0c\u771f\u6b63\u5199\u6210\u7b56\u7565\u5b9e\u76d8\u8fd0\u884c\u8981\u8003\u8651\u5f88\u591a\u95ee\u9898\uff0c\u6b22\u8fce\u5927\u5bb6\u4ea4\u6d41\u3002"}, {"metadata": {"trusted": true}, "cell_type": "code", "source": "class Exchange:\n \n def __init__(self, trade_symbols, leverage=20, maker_fee=0.0002,taker_fee=0.0004,log='',initial_balance=10000):\n self.initial_balance = initial_balance #\u521d\u59cb\u7684\u8d44\u4ea7\n self.taker_fee = taker_fee\n self.maker_fee = maker_fee\n self.leverage = leverage\n self.trade_symbols = trade_symbols\n self.date = ''\n self.log = log\n self.df = pd.DataFrame()\n self.account = {'USDT':{'realised_profit':0, 'margin':0, 'unrealised_profit':0, \n 'total':initial_balance, 'leverage':0, 'fee':0,'maker_fee':0,'taker_fee':0}}\n for symbol in trade_symbols:\n self.account[symbol] = {'amount':0, 'hold_price':0, 'value':0, 'price':0, 'realised_profit':0,\n 'margin':0, 'unrealised_profit':0,'fee':0}\n \n def Trade(self, symbol, direction, price, amount, msg='', maker=True):\n \n if (self.date and symbol == self.log) or self.log == 'all':\n print('%-26s%-15s%-5s%-10.8s%-8.6s %s'%(str(self.date)[:24], symbol, 'buy' if direction == 1 else 'sell', price, amount, msg))\n\n cover_amount = 0 if direction*self.account[symbol]['amount'] >=0 else min(abs(self.account[symbol]['amount']), amount)\n open_amount = amount - cover_amount\n if maker:\n self.account['USDT']['realised_profit'] -= price*amount*self.maker_fee #\u6263\u9664\u624b\u7eed\u8d39\n self.account['USDT']['maker_fee'] += price*amount*self.maker_fee\n self.account['USDT']['fee'] += price*amount*self.maker_fee\n self.account[symbol]['fee'] += price*amount*self.maker_fee\n else:\n self.account['USDT']['realised_profit'] -= price*amount*self.taker_fee #\u6263\u9664\u624b\u7eed\u8d39\n self.account['USDT']['taker_fee'] += price*amount*self.taker_fee\n self.account['USDT']['fee'] += price*amount*self.taker_fee\n self.account[symbol]['fee'] += price*amount*self.taker_fee\n\n \n \n if cover_amount > 0: #\u5148\u5e73\u4ed3\n self.account['USDT']['realised_profit'] += -direction*(price - self.account[symbol]['hold_price'])*cover_amount #\u5229\u6da6\n self.account['USDT']['margin'] -= cover_amount*self.account[symbol]['hold_price']/self.leverage #\u91ca\u653e\u4fdd\u8bc1\u91d1\n \n self.account[symbol]['realised_profit'] += -direction*(price - self.account[symbol]['hold_price'])*cover_amount\n self.account[symbol]['amount'] -= -direction*cover_amount\n self.account[symbol]['margin'] -= cover_amount*self.account[symbol]['hold_price']/self.leverage\n self.account[symbol]['hold_price'] = 0 if self.account[symbol]['amount'] == 0 else self.account[symbol]['hold_price']\n \n if open_amount > 0:\n total_cost = self.account[symbol]['hold_price']*direction*self.account[symbol]['amount'] + price*open_amount\n total_amount = direction*self.account[symbol]['amount']+open_amount\n \n self.account['USDT']['margin'] += open_amount*price/self.leverage \n self.account[symbol]['hold_price'] = total_cost/total_amount\n self.account[symbol]['amount'] += direction*open_amount\n self.account[symbol]['margin'] += open_amount*price/self.leverage\n \n self.account[symbol]['unrealised_profit'] = (price - self.account[symbol]['hold_price'])*self.account[symbol]['amount']\n self.account[symbol]['price'] = price\n self.account[symbol]['value'] = abs(self.account[symbol]['amount'])*price\n \n \n def Buy(self, symbol, price, amount, msg='', maker=False):\n self.Trade(symbol, 1, price, amount, msg, maker)\n \n def Sell(self, symbol, price, amount, msg='', maker=False):\n self.Trade(symbol, -1, price, amount, msg,maker)\n \n\n def Update(self, date, symbols, close_price): #\u5bf9\u8d44\u4ea7\u8fdb\u884c\u66f4\u65b0\n self.date = date\n self.close = close_price\n self.account['USDT']['unrealised_profit'] = 0\n for symbol in symbols:\n self.account[symbol]['unrealised_profit'] = (close_price[symbol] - self.account[symbol]['hold_price'])*self.account[symbol]['amount']\n self.account[symbol]['price'] = close_price[symbol]\n self.account[symbol]['value'] = abs(self.account[symbol]['amount'])*close_price[symbol]\n \n self.account['USDT']['unrealised_profit'] += self.account[symbol]['unrealised_profit']\n self.account['USDT']['total'] = round(self.account['USDT']['realised_profit'] + self.initial_balance + self.account['USDT']['unrealised_profit'],6)\n self.account['USDT']['leverage'] = round(self.account['USDT']['margin']*self.leverage/self.account['USDT']['total'],4)", "execution_count": 23, "outputs": []}, {"metadata": {"trusted": true}, "cell_type": "code", "source": "", "execution_count": null, "outputs": []}], "metadata": {"kernelspec": {"name": "python3", "display_name": "Python 3", "language": "python"}, "language_info": {"name": "python", "version": "3.6.8", "mimetype": "text/x-python", "codemirror_mode": {"name": "ipython", "version": 3}, "pygments_lexer": "ipython3", "nbconvert_exporter": "python", "file_extension": ".py"}}, "nbformat": 4, "nbformat_minor": 2}